北京交通大学学报:社会科学版
北京交通大學學報:社會科學版
북경교통대학학보:사회과학판
Journal of Beijing Jiaotong University Social Sciences Edition
2011年
2期
77~82
,共null页
证券市场 流动性 微观市场结构
證券市場 流動性 微觀市場結構
증권시장 류동성 미관시장결구
security market; liquidity; micro-market structure
本文采用买卖价差和交易深度的日内模式对中国股票市场进行研究,以此来考察市场的短期流动性。研究结果表明:沪深股市日内相对价差与日内交易深度呈相反的变化趋势;相对价差与股票价格和交易量呈负相关,与波动性正相关;深度与交易量呈正相关,与波动性负相关。流动性受股票价格的影响最大,受波动性的影响次之,受交易量的影响较小。鉴于中国股票市场整体流动性水平相对不足的实情,我们认为中国股票市场有必要从交易制度层面进行变革,提高信息透明度,加强市场监管,适当的降低交易成本,提升市场流动性水平。
本文採用買賣價差和交易深度的日內模式對中國股票市場進行研究,以此來攷察市場的短期流動性。研究結果錶明:滬深股市日內相對價差與日內交易深度呈相反的變化趨勢;相對價差與股票價格和交易量呈負相關,與波動性正相關;深度與交易量呈正相關,與波動性負相關。流動性受股票價格的影響最大,受波動性的影響次之,受交易量的影響較小。鑒于中國股票市場整體流動性水平相對不足的實情,我們認為中國股票市場有必要從交易製度層麵進行變革,提高信息透明度,加彊市場鑑管,適噹的降低交易成本,提升市場流動性水平。
본문채용매매개차화교역심도적일내모식대중국고표시장진행연구,이차래고찰시장적단기류동성。연구결과표명:호심고시일내상대개차여일내교역심도정상반적변화추세;상대개차여고표개격화교역량정부상관,여파동성정상관;심도여교역량정정상관,여파동성부상관。류동성수고표개격적영향최대,수파동성적영향차지,수교역량적영향교소。감우중국고표시장정체류동성수평상대불족적실정,아문인위중국고표시장유필요종교역제도층면진행변혁,제고신식투명도,가강시장감관,괄당적강저교역성본,제승시장류동성수평。
This paper presents a study of the short-term liquidity in China stock market by using the bid-ask spread and depth of the days trading model.The results show that: the change of bid-ask spread and depth of trading was in the opposite trend in both Shanghai and Shenzhen stock markets;the relative spread is in a negative correlation with the stock price and trading volume,but in a positive correlation with the volatility;the depth of trading is positively correlated with the volume and negatively correlated with volatility.The liquidity was firstly impacted by the stock prices,followed by the volatility,and then by the trading volume.In terms of the fact that the overall liquidity of the stock market is relatively weak in China,we suggest that the Chinese stock market trading system should be reformed to improve the information transparency,strengthen the market supervision,reduce transaction costs appropriately,and enhance the level of liquidity.